<t>I don't really want to use ON Libor, I'm just requested to have the ON curve to start at t+0, while OISwaps start at t+2.I am considering to bootstrap the OIS curve starting at t+2 and then do some left-extrapolation to feed the systems requiring a curve starting at t+0, but wanted to check if th...

<t>I usually use ON Libor fixing to bootstrap the USD overnight curve from t+0 to t+1, then some improper quote as tomorrow-next on [t+1, t+2], then finally use OIS on [t+2, (t+2)+mY] with m= 1, 2, ..., 50YNext Mon 25-Aug-2014 is a London holiday, but not a NY holiday. To the best of my understandin...

<r>I've published a paper on how to embed smart monetary policy in a cryptocurrency, e.g. bitcoin.It has been shortlisted as finalist for the Blockchain Awards of the Bitcoin Foundation Conference 2014, category Visionary Academic Paper. <URL url="http://www.coindesk.com/bitcoin-foundation-announces...

QuoteOriginally posted by: APlusfor the fiat currency there is an organization that takes care that its value does not swing 10% per day. With an indipendent currency, I can't see how you'd guarantee its value stable-ish.Hayek Money solves exactly this issue

<r>QuoteOriginally posted by: ppauperQuoteOriginally posted by: CuchulainnHayek Money, F.M. AmetranoThe Austrian School like von Mises and Hayek were fans of specie (gold and silver) and critics of fiat moneyI will not talk about von Mises as I have not studied his works, but I am knowledgeable abou...

<r>Successful at disposing of any central monetary authority using the Bitcoin protocol, the bitcoin currency has accidentally thrown away the flexibility of a non-discretionary monetary policy allowing for elastic supply of money. I explain how to gain monetary policy back in my paper:"Hayek Money:...

QuoteOriginally posted by: ancastFor more on that, please read the works whose links are in my post before.Hard to do since the links are not working

just tried BLAS:GEMM in the wizard with two empty matrices whose size didn't match and it crashed Excel. Not nice, you should catch exceptionsbesides the xll I've downloaded includes only two functions...

<t>Quotethe fact (explained in page 58) that it is not advisable to usedeposits to construct the Euribor 6M curve in the short runThese days my favorite way to look at Euribor/Libor is "the underlying of collateralized derivatives" such as swaps and FRADeposits instead are un-collateralized transact...

<r>It should be a screencast, since Luigi's talk was an hands-on live session. It's delayed because Luigi is probably adding the voice-over.I look forward to see how he will handle his accidental off-stage falling (or more accurately in-stage falling): it was so acrobatic to almost appear as staged ...

<r>QuoteOriginally posted by: renormQuoteCode Arbitrage: or, how to get features for free in QuantLib - Luigi BallabioWhat is it? Can someone post 2 line summary? Sounds very intriguing.from the presentation abstract at <URL url="http://www.statpro.com/quantlib_forum/london_program.aspxIn"><LINK_TEX...

<r>QuoteOriginally posted by: HansiAnyone heard if the slides will be posted online, maybe videos?The presentations are available athttp://<URL url="http://www.statpro.com/quantlib_forum/quantlib_presentations.aspxIt"><LINK_TEXT text="www.statpro.com/quantlib_forum/quantlib ... ons.aspxIt">www.statp...

<t>you are entitled to your opinion about QuantLib architecture, and you surely have a point about the lack of documentation, but the topic title is quite arrogant.Even if I'm not allowed to disclose most of the prominent usages I'm aware of, the simple fact that every quant team in the world knows ...

<t>The telescopic df(t0) - df(Tn) property of a floating leg is never been exact if you take correct dates into account, but accurate enough to be used.Anyway it doesn't hold if your discounting curve is different from the curve you use for estimating forward Libor rates, which is often the case now...

<t>QuoteDoes any one know a spline method that allows to input both the first AND the second derivavtives at ALL knots.I could only find ones where the second derivs of the end points only can be plugged in.The spline specification for a cubic interpolator is a way to derive first and second derivat...